2017
DOI: 10.1007/978-3-319-57099-0_25
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Short Rate as a Sum of Two CKLS-Type Processes

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Cited by 2 publications
(2 citation statements)
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“…, n. Our aim is to estimate the domestic short rate r di for each observation time, together with the model parameters. We follow the approach of [13], [14] (where the following objective function was used to estimate the parameters, while the short rate was approximated by a proxy), [8], [2] (where it was used to estimate the short rate as well) and define the objective function…”
Section: Algorithm For Estimating the Short Rate In A Model With Zero Correlationmentioning
confidence: 99%
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“…, n. Our aim is to estimate the domestic short rate r di for each observation time, together with the model parameters. We follow the approach of [13], [14] (where the following objective function was used to estimate the parameters, while the short rate was approximated by a proxy), [8], [2] (where it was used to estimate the short rate as well) and define the objective function…”
Section: Algorithm For Estimating the Short Rate In A Model With Zero Correlationmentioning
confidence: 99%
“…Also, its behaviour provides interesting information about the economy. We consider the approach of [8] (for the Vasicek model) and [2] (for the short rate as a sum of two unobservable processes), which uses a least squares methodology applied to the data of interest rates with different maturities. Furthermore, since Vasicek model is a building block of the convergence model which we consider, the algorithm [8] will serve as a first step of our estimation procedure.…”
Section: Introductionmentioning
confidence: 99%